bookWorld Scientific Publishing Co. Pte. Ltd. eBooksJan 1, 2007Closed access

Modelling Financial Time Series

SJStephen J. Taylor
Indexed incrossref

Abstract

Introduction Features of Financial Returns Modelling Price Volatility Forecasting Standard Deviations The Accuracy of Autocorrelation Estimates Testing the Random Walk Hypothesis Forecasting Trends in Prices Evidence against the Efficiency of Futures Markets Valuing Options Appendix.

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Topics & keywords

Topics
Keywords
  • Futures contract
  • Autocorrelation
  • Volatility (finance)
  • Economics
  • Econometrics
  • Random walk
  • Random walk hypothesis
  • Financial market
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